Always choose Lightning Web Components unless you need a feature that isn’t supported. There are following features which are not supported in LWC.
- Salesforce Console APIs (Navigation Item API, Workspace API, Utility Bar API)
- URL Addressable Tabs
- Conversation Toolkit API, Omni Toolkit API, Quick Action API
- Standard Action Overrides, Global Actions, List View Actions, Related List View Actions
- Chatter Extensions